The concentration of greenhouse gases (GHGs) in the atmosphere continues to rise, hence estimating the climate system’s sensitivity to changes in GHG concentration is of vital importance. Uncertainty in climate sensitivity is a main source of uncertainty in projections of future climate change. Here we present a new approach for constraining this key uncertainty by combining ensemble simulations of the last glacial maximum (LGM) with paleo-data. For this purpose we used a climate model of intermediate complexity to perform a large set of equilibrium runs for (1) pre-industrial boundary conditions, (2) doubled CO2 concentrations, and (3) a complete set of glacial forcings (including dust and vegetation changes). Using proxy-data from the LGM at low and high latitudes we constrain the set of realistic model versions and thus climate sensitivity. We show that irrespective of uncertainties in model parameters and feedback strengths, in our model a close link exists between the simulated warming due to a doubling of CO2, and the cooling obtained for the LGM. Our results agree with recent studies that annual mean data-constraints from present day climate prove to not rule out climate sensitivities above the widely assumed sensitivity range of 1.5–4.5°C (Houghton et al. 2001). Based on our inferred close relationship between past and future temperature evolution, our study suggests that paleo-climatic data can help to reduce uncertainty in future climate projections. Our inferred uncertainty range for climate sensitivity, constrained by paleo-data, is 1.2–4.3°C and thus almost identical to the IPCC estimate. When additionally accounting for potential structural uncertainties inferred from other models the upper limit increases by about 1°C.